If you would like to erase the recent file list because you have watch naughty movies, you’re lucky, I happen to know (at least) how to erase it!
Open Regedit (Go to Start and then run, type regedit then click OK)
Once in the Regedit, find or go to:
Delete the Strings in there except for the (Default) String. (Well I don't know what will happen if you delete it)
Note: If the recent file list is still not erased, well I don’t know if there is something need still to be removed, but on my computer (Xp Pro & WMP v. 8.00.00.4777) this tweak works!